Lévy Processes and Infinitely Divisible Distributions

Cambridge Studies in Advanced Mathematics #68

by Ken-iti Sato

Lévy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time parameter. This book provides the reader with comprehensive basic knowledge of Lévy processes, and at the same time introduces stochastic processes in general. No specialist knowledge is assumed and proofs and exercises are given in detail. The author systematically studies stable and semi-stable processes and emphasizes the correspondence between Lévy processes and infinitely divisible distributions. All serious students of random phenomena will benefit from this volume.

500 pages, Hardcover

First published November 11, 1999